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Examining time-varying causality: investor sentiment and asset spreads across in COVID, and Ukraine War periods

Vitor Moutinho Orcid Logo, Renato Heitor Correia Domingues Orcid Logo, Giulia Fantini Orcid Logo, Michelle Moraes

Applied Economics Letters, Pages: 1 - 8

Swansea University Author: Giulia Fantini Orcid Logo

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DOI (Published version): 10.1080/13504851.2025.2600676

Abstract

This article investigates the dynamic causal relationships between investor sentiment, measured through Twitter mentions of uncertainty, CBOE volatility index, the spreads of key assets, S&P 500, oil, gold, and Bitcoin, during the COVID crisis and the Ukraine War. The results reveal significant...

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Published in: Applied Economics Letters
ISSN: 1350-4851 1466-4291
Published: Informa UK Limited 2025
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URI: https://cronfa.swan.ac.uk/Record/cronfa71169
first_indexed 2025-12-23T11:34:40Z
last_indexed 2026-01-23T06:52:03Z
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spelling 2026-01-22T14:52:45.5359893 v2 71169 2025-12-23 Examining time-varying causality: investor sentiment and asset spreads across in COVID, and Ukraine War periods 290e83934e79a0a29aec6575e0f82262 0000-0001-6923-0929 Giulia Fantini Giulia Fantini true false 2025-12-23 CBAE This article investigates the dynamic causal relationships between investor sentiment, measured through Twitter mentions of uncertainty, CBOE volatility index, the spreads of key assets, S&P 500, oil, gold, and Bitcoin, during the COVID crisis and the Ukraine War. The results reveal significant bidirectional causality between investor sentiment and S&P 500 spreads during the COVID era, contrasting with minimal causality during the Ukraine War Other of the hand, the relationship between the VIX and the S&P 500 is unidirectional, during COVID period, while, no causality is observed for the period of the Ukraine War. Moreover, a bidirectional causality appears between the VIX and Bitcoin at distinct times, While, for the period of the war in Ukraine, there is a small one-way causality from bitcoin to the VIX in May 2022 and in June. Gold spreads demonstrated a reciprocal influence with sentiment, while no significant relationships were found for oil and Bitcoin spreads. These findings underscore the variability of market-sentiment interactions across different crises, providing insights for investors and policymakers. Journal Article Applied Economics Letters 0 1 8 Informa UK Limited 1350-4851 1466-4291 Investor sentiment, time-varying causality, S&amp;P500, COVID crisis, Ukraine War 21 12 2025 2025-12-21 10.1080/13504851.2025.2600676 Research Letter COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University Another institution paid the OA fee This work was supported by the European Commission; NECE - Research Center in Business Sciences, University of Beira Interior [Lider + Digital- LIED]. 2026-01-22T14:52:45.5359893 2025-12-23T11:14:00.0213459 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Vitor Moutinho 0000-0003-0811-9033 1 Renato Heitor Correia Domingues 0000-0002-3912-8314 2 Giulia Fantini 0000-0001-6923-0929 3 Michelle Moraes 4 71169__35984__d164b6c5e433487693c87e71564c4926.pdf 71169.VOR.pdf 2026-01-13T15:02:31.4124603 Output 995927 application/pdf Version of Record true © 2025 The Author(s). This is an Open Access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives License. true eng http://creativecommons.org/licenses/by-nc-nd/4.0/
title Examining time-varying causality: investor sentiment and asset spreads across in COVID, and Ukraine War periods
spellingShingle Examining time-varying causality: investor sentiment and asset spreads across in COVID, and Ukraine War periods
Giulia Fantini
title_short Examining time-varying causality: investor sentiment and asset spreads across in COVID, and Ukraine War periods
title_full Examining time-varying causality: investor sentiment and asset spreads across in COVID, and Ukraine War periods
title_fullStr Examining time-varying causality: investor sentiment and asset spreads across in COVID, and Ukraine War periods
title_full_unstemmed Examining time-varying causality: investor sentiment and asset spreads across in COVID, and Ukraine War periods
title_sort Examining time-varying causality: investor sentiment and asset spreads across in COVID, and Ukraine War periods
author_id_str_mv 290e83934e79a0a29aec6575e0f82262
author_id_fullname_str_mv 290e83934e79a0a29aec6575e0f82262_***_Giulia Fantini
author Giulia Fantini
author2 Vitor Moutinho
Renato Heitor Correia Domingues
Giulia Fantini
Michelle Moraes
format Journal article
container_title Applied Economics Letters
container_volume 0
container_start_page 1
publishDate 2025
institution Swansea University
issn 1350-4851
1466-4291
doi_str_mv 10.1080/13504851.2025.2600676
publisher Informa UK Limited
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 1
active_str 0
description This article investigates the dynamic causal relationships between investor sentiment, measured through Twitter mentions of uncertainty, CBOE volatility index, the spreads of key assets, S&P 500, oil, gold, and Bitcoin, during the COVID crisis and the Ukraine War. The results reveal significant bidirectional causality between investor sentiment and S&P 500 spreads during the COVID era, contrasting with minimal causality during the Ukraine War Other of the hand, the relationship between the VIX and the S&P 500 is unidirectional, during COVID period, while, no causality is observed for the period of the Ukraine War. Moreover, a bidirectional causality appears between the VIX and Bitcoin at distinct times, While, for the period of the war in Ukraine, there is a small one-way causality from bitcoin to the VIX in May 2022 and in June. Gold spreads demonstrated a reciprocal influence with sentiment, while no significant relationships were found for oil and Bitcoin spreads. These findings underscore the variability of market-sentiment interactions across different crises, providing insights for investors and policymakers.
published_date 2025-12-21T05:34:37Z
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